Exact maximum likelihood estimation for non-Gaussian moving averages

MaRDI QIDQ5323626zbMATH OpenFDO

Authors Nan-Jung Hsu, F. Jay Breidt

Publication date 23 July 2009

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J19N2/j19n27/j19n27.html

zbMATH Keywords

EM algorithmMonte Carlonon-invertiblenon-minimum phase

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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